www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/ComputetheDeltaandGammaofanAmericanBarrierDownInPutOptioExample.m

    %% Compute the Delta and Gamma of an American Barrier Down In Put Option   

%% 
% Compute the price of an American down in put option using the following data: 
Rates = 0.0325;
Settle = '01-Jan-2016';
Maturity = '01-Jan-2017';
Compounding = -1;
Basis = 1;  

%% 
% Define a |RateSpec|. 
 RateSpec = intenvset('ValuationDate',Settle,'StartDates',Settle,'EndDates',Maturity, ...
     'Rates',Rates,'Compounding',Compounding,'Basis',Basis)  

%% 
% Define a |StockSpec|. 
 AssetPrice = 40;
 Volatility = 0.20;
 StockSpec = stockspec(Volatility,AssetPrice)  

%% 
% Calculate the delta and gamma of an American barrier down in put option. 
Strike = 45;
OptSpec = 'put';
Barrier = 35;
BarrierSpec = 'DI';
AmericanOpt = 1;

OutSpec = {'delta','gamma'};

[Delta,Gamma] = barriersensbyls(RateSpec,StockSpec,OptSpec,Strike,Settle,...
Maturity,BarrierSpec,Barrier,'NumTrials',2000,'AmericanOpt',AmericanOpt,'OutSpec',OutSpec)